Purpose: To provide a bond pricing framework that allows for dependency between the interest rate and default intensity processes which are assumed to follow mean-reverting jump diffusion processes. Approach: The time to default is modelled according to a Cox process whose intensity follows a mean reverting jump diffusion process. We also assume that a bond issuer’s default intensity is correlated to the short rate process where a copula function, a parametrically specified joint distribution generated from marginal distributions, is utilized to address the issue of correlated jumps to capture the dependence structure between two processes. The copula families considered are a Farlie-Gumbel-Mogenstern copula, a Gumbel copula and t-copula. Research implications: Corporate bond pricing model and its calibration.